Trend following trading under a regime switching model

Trend following trading under a regime switching model

10.1137/090770552

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Bibliographic Details
Main Authors: Dai, M., Zhang, Q., Zhu, Q.J.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
Optimal stopping time
Regime switching model
Trend following trading rule
Wonham filter
Online Access:http://scholarbank.nus.edu.sg/handle/10635/104397
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/104397

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